Overview

High-frequency financial data offers a granular view into the subtle dynamics that drive financial markets. With the advent of robust big data systems, we’re now equipped to swiftly process petabytes of such intricate data, enabling more precise and real-time insights. My research primarily concentrates on harnessing this high-frequency data to comprehend the multifaceted nuances of financial markets.

One of our pioneering projects, the “Global Liquidity Panel,” stands testament to this effort. Extracted from Refinitiv’s Tick History, this dataset encapsulates vital indicators like liquidity, market quality, efficiency, and asset pricing across major global stock exchanges. Further enriched by a detailed manual, it ensures clarity and consistency in research endeavors. Leveraging cloud technologies and high-frequency data spanning over two decades, this project aims to measure liquidity across global equity markets. The associated RTH database, powered by cutting-edge big data technologies, offers unprecedented access to this wealth of information. It’s noteworthy that our team can efficiently harness this data without the need for localized supercomputing resources.

Highlighted Research Projects

Global Realignment in Financial Market Dynamics with Monica Billio, Andrew W Lo, Loriana Pelizzon, and Mila Getmansky Sherman

• Through a detailed analysis of minute-by-minute data from 2012 to 2020 for twelve specific exchange-traded funds, we’ve crafted daily depictions of the global financial network. This helps assess the centrality and interconnectedness of countries within the global financial landscape. A salient finding reveals a gradual diminishment of the U.S.’s centrality in global financial markets over time.

Liquidity and Asset Pricing in Global Markets with Björn Hagströmer and Jonathan Brogaard

• Positioned as a big data endeavor, this project is set to dissect tick-data from international financial markets, paving the way for groundbreaking insights. Stay tuned for more developments.